Logjam in U.S. Stocks to Ease as JPMorgan Sees Quants in Retreat
- S&P 500 realized correlation is close the highest since 2012
- Marko Kolanovic predicted the August selloff in U.S. equities
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Automated selling from quantitative funds that worsened the August correction in U.S. equities will subside, making life easier for investors who select stocks based on things like earnings, according to a JPMorgan Chase & Co strategist whose bearish research preceded the selloff.
Trading by computerized investors such as derivatives hedgers and others that mainly use indexes have been causing equities to trade in something approaching lockstep, wrote Marko Kolanovic in a note Thursday to clients. Three-month realized correlation on the Standard & Poor’s 500 Index sits close to the highest since August 2012, according to data compiled by Bloomberg.